A mockup for this feature can be found here.
The team from JabRef thought that the mockup was fine.
The functionality for using the JabRef application as a whole behind a proxy is already in place, so this issue concerns researching what needs to be done, if anything, to make sure that the BibSonomy features also uses the proxy supplied in the normal JabRef settings (Options → Preferences → Advanced → Network
Related issues: #4